If I'm playing a Spiritual civ, or trying for a cultural victory, I usually go after as many religions as I can. I usually end up with Judaism and Islam by choice, and may end up stumbling onto Taoism, Confucianism or Christianity just while going after other techs. The extra income you get from founding the Shrines is quite nice, especially if you are spreading your religion around. Not to mention controlling (somewhat) the spread of religion can help you out diplomatically.
If I'm playing a warmonger civ, I usually skip founding religions altogether, and just go with whatever wanders into my empire, or pick one that helps me diplomatically if more than one spreads to me.